TLT Options History — March 2014

In March 2014, TLT traded between $105.89 and $109.99. ATM implied volatility averaged 10.2%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 0.3% (HV 20d: 10.6%). Max pain ranged from $109.00 to $110.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.35.

Notable Days

  • 2014-03-06: Highest Volume — 110,402 contracts
  • 2014-03-20: Largest IV drop — 8.9% change
  • 2014-03-14: Highest IV Rank — 12.8%
  • 2014-03-03: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.94$105.89$109.99$109.03$109.10
Max Pain$109.76$109.00$110.00$109.00$110.00
ATM IV10.2%9.3%11.5%11.1%11.3%
Expected Move4.0%3.9%4.1%4.1%3.9%
HV 20d10.6%9.1%11.8%9.1%11.8%
HV 60d10.1%9.6%10.4%9.6%10.0%
IV Rank6.3%1.4%12.8%10.4%11.7%
IV Percentile14.8%0.8%39.7%26.6%37.3%
Term Structure0.1%-0.5%1.1%-0.2%-0.4%
VWIV14.0%13.4%14.7%14.6%14.4%
Skew 25d0.1%-0.3%0.4%0.1%0.4%
Skew 10d0.2%-1.0%1.6%-0.0%1.6%
Call IV 25d10.3%9.2%11.9%11.3%11.5%
Put IV 25d10.4%9.5%11.9%11.3%11.9%
Bid-Ask Spread %16.8612.6222.1914.3617.36
Gamma HHI0.110.090.190.140.09
Net GEX21.9M-191.9M207.9M122.3M32.3M
Net DEX-245.5M-940.5M757.8M-877.4M-486.4M
Net VEX-8.7M-9.2M-8.4M-8.7M-8.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.662.760.660.82
Total Volume52,514.8118,225110,40268,39067,426
Total OI784,133.238661,078919,143739,069668,324

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$109.03$109.0011.1%4.1%9.1%10.4%14.6%0.1%-0.2%122.3M-877.4M-8.7M0.6614.36N/AN/A41,19527,195378,303360,766
2014-03-04$107.39$110.0011.0%4.0%10.0%10.0%13.5%-0.0%-0.3%30.6M-165.0M-8.5M1.5920.35N/AN/A23,02636,655385,509373,253
2014-03-05$107.62$110.0010.7%4.0%9.3%8.8%13.8%0.2%-0.2%21.7M-158.9M-8.8M1.7717.95N/AN/A14,87326,384390,755388,824
2014-03-06$106.56$110.0010.3%4.0%9.4%6.8%13.8%0.2%-0.3%-79.6M314.9M-8.4M2.1922.19N/AN/A34,65675,746381,944403,717
2014-03-07$105.89$110.009.9%4.0%9.6%4.8%13.4%0.1%-0.1%-191.9M757.8M-8.6M1.5620.30N/AN/A31,36148,872390,730440,487
2014-03-10$106.04$110.009.7%3.9%9.6%3.5%13.8%0.3%-0.4%-93.8M438.4M-8.4M1.1718.21N/AN/A12,38414,488386,070404,115
2014-03-11$106.32$110.009.7%3.9%9.6%3.7%13.7%0.2%-0.4%-72.9M353.6M-8.7M0.6717.21N/AN/A10,8987,327389,094412,053
2014-03-12$107.06$110.009.9%3.9%9.7%4.5%14.3%0.2%-0.4%6.5M-59.6M-8.5M0.9318.55N/AN/A15,37814,229393,054414,499
2014-03-13$108.50$110.0010.7%4.0%10.5%8.6%13.9%-0.0%-0.5%108.7M-711.1M-8.7M0.8216.59N/AN/A29,04523,775395,610422,323
2014-03-14$108.52$110.0011.5%4.0%10.4%12.8%14.5%-0.3%-0.5%207.9M-773.6M-9.0M0.7412.62N/AN/A39,37929,034406,794434,439
2014-03-17$107.71$110.0010.8%4.0%10.8%9.4%14.6%-0.2%-0.0%37.5M-275.9M-8.6M1.0613.29N/AN/A22,43623,774403,627434,970
2014-03-18$108.10$109.0010.5%4.0%10.8%7.8%14.3%-0.0%-0.0%63.2M-330.3M-9.1M1.6914.48N/AN/A14,94725,280417,405451,507
2014-03-19$107.26$109.0010.3%4.0%11.1%6.6%14.1%0.2%0.0%-24.8M124.9M-9.2M2.7616.99N/AN/A18,43550,955420,260460,011
2014-03-20$107.07$109.009.4%3.9%11.1%2.0%13.8%0.3%0.0%-86.9M334.4M-9.1M2.1418.62N/AN/A12,53026,839418,604486,056
2014-03-21$108.23$109.009.3%3.9%11.6%1.4%13.8%0.3%0.0%71.0M-357.7M-8.8M1.1316.97N/AN/A21,65224,431424,519494,624
2014-03-24$109.00$110.009.3%3.9%11.7%1.7%13.7%0.1%1.0%57.4M-543.8M-8.7M1.0915.55N/AN/A18,15319,805309,432351,646
2014-03-25$108.59$110.009.3%3.9%11.5%1.5%14.7%0.2%1.1%31.8M-381.0M-8.6M2.1015.41N/AN/A11,27323,727315,145361,528
2014-03-26$109.44$110.009.6%3.9%11.6%3.3%13.7%0.3%0.8%70.0M-714.6M-8.7M0.7516.30N/AN/A22,19316,662318,139370,465
2014-03-27$109.99$110.0010.1%3.9%11.6%5.8%14.1%0.1%1.0%89.0M-940.5M-8.7M1.4314.62N/AN/A31,21444,498324,469378,255
2014-03-28$109.37$110.0010.6%4.0%11.8%8.1%13.9%0.2%0.8%59.5M-704.0M-8.5M1.2516.14N/AN/A22,56628,115328,358377,115
2014-03-31$109.10$110.0011.3%3.9%11.8%11.7%14.4%0.4%-0.4%32.3M-486.4M-8.7M0.8217.36N/AN/A37,13630,290307,511360,813